Barclays plans principal protected notes linked to Barclays Intelligent Carry index

By Susanna Moon

Chicago, April 30 - Barclays Bank plc plans to price 100% principal protected notes due Nov. 30, 2011 linked to the Barclays Intelligent Carry index, according to an FWP filing with the Securities and Exchange Commission.

The index seeks to capture returns potentially available from a strategy of investing in 10 high-yielding currencies with the exposure financed by borrowings in low-yielding currencies.

Payout at maturity will be par plus 150% of any gain on the index. Investors will receive at least par.

The notes are expected to price on May 27 and settle on May 30.

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